Abstract
The paper concerns a numerical study of the performance of an approximate algorithm for convex stochastic control problems that was derived in a recent paper by two of the authors and is inspired by work done in the area of Stochastic Programming in connection with the Edmundson-Madansky inequality. The accuracy of the approximations is numerically tested by applying the algorithm to two classical convex stochastic control problems for which the optimal solution is known, namely the linear-quadratic and the inventory control problems.
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Hernández-Lerma, O., Piovesan, C. & Runggaldier, W.J. Numerical aspects of monotone approximations in convex stochastic control problems. Ann Oper Res 56, 135–156 (1995). https://doi.org/10.1007/BF02031704
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DOI: https://doi.org/10.1007/BF02031704